ORIE 6620

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  • Schedule of Classes - June 22, 2015 4:42PM EDT
  • Course Catalog - June 11, 2015 6:21PM EDT

ORIE 6620
Mathematics of Financial Systems

Course information provided by the Courses of Study 2014-2015.

This course covers the rigorous mathematical foundations for the analysis of financial systems. We briefly study models of financial markets based on stochastic processes (risk is exogenous) and he mathematics of arbitrage in discrete time. We introduce a wide range of tools that would serve us to model how markets generate and further transmit risk (risk is endogenous). Topics include contagion in financial networks, random graphs, optimal control of diffusions on random networks.

When Offered Spring.

Prerequisites/Corequisites Prerequisite: one semester calculus based probability course.

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Syllabi: none

  •   Regular Academic Session. 

  • 3 Credits Stdnt Opt

  • 16398 ORIE 6620   LEC 001

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